Zero-intelligence realized variance estimation
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-009-0120-1.pdf
Reference28 articles.
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3. Aït-Sahalia, Y., Mykland, P., Zhang, L.: Ultra-high frequency volatility estimation with dependent microstructure noise. J. Econom. (2006, forthcoming). Available at http://www.princeton.edu/~yacine/
4. Andersen, T.G., Bollerslev, T.: Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. Int. Econ. Rev. 39, 885–905 (1998)
5. Andersen, T.G., Bollerslev, T., Diebold, F.X., Ebens, H.: The distribution of stock return volatility. J. Financ. Econ. 61, 43–76 (2001)
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